| 一种带有自权重的积分波动率的非参估计 |
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| 引用本文： | 李翠霞,郭二林,包美娟.一种带有自权重的积分波动率的非参估计[J].中山大学学报(自然科学版),2013,52(1):55-58. |
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| 作者姓名： | 李翠霞 郭二林 包美娟 |
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| 作者单位： | 兰州大学数学与统计学院,甘肃兰州,730000 |
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| 基金项目： | 兰州大学中央高校基本科研业务费专项资金资助项目(lzujbky-2012-179;lzujbky-2012-180) |
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| 摘 要： | 为了对带有自权重的积分波动率∫ 10 f(Xt)σ2tdt进行估计，定义了一个新的非参数估计量，并利用“已实现”波动率的方法，证明了该估计量是积分∫ 10 f(Xt)σ2tdt的一致估计量，同时还得到此估计量的渐近正态分布以及学生化形式，从而可对该积分做区间估计或假设检验。
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| 关 键 词： | 自权重 积分波动率 非参估计 渐近正态分布 |
| 收稿时间： | 2012-06-27; |
A Nonparametric Estimate of Integrated Cross-Volatility |
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| LI Cuixia
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GUO Erlin
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BAO Meijuan.A Nonparametric Estimate of Integrated Cross-Volatility[J].Acta Scientiarum Naturalium Universitatis Sunyatseni,2013,52(1):55-58. |
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| Authors: | LI Cuixia GUO Erlin BAO Meijuan |
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| Institution: | (School of Mathematics and Statistics,Lanzhou University,Lanzhou 730000,China) |
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| Abstract: | A nonparametric estimator is proposed for the class of integrated cross volatilities of the form∫ 10 f(Xt)σ2tdt, where f is a continuous function,σ2s is the instantaneous cross volatility of continuous semimartingale X. Using “Realized Volatility”, the asymptotic properties, which include consistency and asymptotic normality are obtained. A studentized version has been given and this can be used to construct confidence interval and do hypothesis testing. |
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| Keywords: | cross integrated volatility nonparametric estimate asymptotic normality |
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